TSE, Yiu Kuen
List of Publications
Refereed Articles
(1) ''Edgeworth approximations to the
distributions of various test statistics", (with J.D. Sargan),
in E.G. Charatsis, ed, Proceedings
of the Econometric Society European Meeting 1979: Selected Econometric Papers
in Memory of Stefan Valavanis, 1981, 281 - 295,
(2) ''Edgeworth approximations in first order stochastic difference equations with exogenous variables'', Journal of Econometrics, 20, 1982, 175 - 195.
(3) ''On calculating the Edgeworth approximate distribution of an econometric estimator or test statistic'', Economics Letters, 12, 1983, 239 - 242.
(4) ''Testing linear and log-linear regressions with autocorrelated errors'', Economics Letters, 14, 1984, 333 - 337.
(5) ''A physical interpretation of the maximum likelihood estimation of a linear functional relationship model'', (with Y.V. Hui), The Statistician, 33, 1984, 239 - 242.
(6) ''Edgeworth approximation for t-ratios of 2SLS estimates of a dynamic model'', Communications in Statistics B, 13, 1984, 603 - 618.
(7) ''An empirical comparison of small sample distributions of estimators of the first order autoregression'', Journal of Statistical Computation and Simulation, 19, 1984, 227 - 236.
(8) ''Testing for linear and log-linear regressions with heteroscedasticity'', Economics Letters, 16, 1984, 63 - 69.
(9) ''Testing for heteroscedasticity in a dynamic simultaneous equation model'', (with C.T. Phoon), Communications in Statistics A, 14, 1985, 1283 - 1300.
(10) ''Some modified versions of Durbin's h-statistic'', The Review of Economics and Statistics, 67, 1985, 534 - 538.
(11) ''The spot and forward exchange rates: some empirical evidence of
(12) ''Outlier detection in linear models: a comparative study in simple linear regression'', (with U. Balasooriya), Communications in Statistics A, 15, 1986, 3589 - 3598.
(13) ''A note on Sargan densities'', Journal of Econometrics, 34, 1987, 349 - 354.
(14) ''A diagnostic test for the multinomial logit model'', Journal of Business and Economic Statistics, 5, 1987, 283 - 286.
(15) ''An empirical comparison of some statistics for identifying outliers and influential observations in linear regression models'', (with U. Balasooriya and Y.S. Liew), Journal of Applied Statistics, 14, 1987, 177 - 184.
(16) ''Assessing
(17) ''A sequential testing procedure for outliers and structural change'', (with M. McAleer), Econometric Reviews, 7, 1988, 103 - 111.
(18) ''Some experience of numerical computation of Edgeworth approximations'', (with J.D. Sargan), in E. Maasoumi, ed., chapter 7 in Contributions to Econometrics: John Denis Sargan, vol. 2, 1988, 158 - 171, Cambridge, U.K.: Cambridge University Press.
(19) ''Edgeworth approximations for 2SLS estimates of a dynamic model'', (with J.D. Sargan), in E. Maasoumi, ed., chapter 8 in Contributions to Econometrics: John Denis Sargan, vol. 2, 1988, 172 - 181, Cambridge, U.K.: Cambridge University Press.
(20) ''Exact maximum likelihood estimation of vector ARMA processes'', (with Y.M. Tse), Advances in Statistical Analysis and Statistical Computing, 2, 1989, 71 - 84.
(21) ''A proportional random utility approach to qualitative response models'', Journal of Business and Economic Statistics, 7, 1989, 61 - 68.
(22) ''Technical efficiency measures for Malaysian food manufacturing industry'', (with K.P. Kalirajan), The Developing Economies, 27, 1989, 174 - 184.
(23) ''An algorithm for computing values of options on the maximum or minimum of several assets'', (with P.P. Boyle), Journal of Financial and Quantitative Analysis, 25, 1990, 215 - 227.
(24) ''Term structure of interest rates in the Singapore Asian Dollar Market'', (with T.K.Y. Lee), Journal of Applied Econometrics, 6, 1991, 143 - 152.
(25) ''Stock returns volatility in the Tokyo Stock Exchange'', Japan and the World Economy, 3, 1991, 285 - 298.
(26) ''Price and volume in the Tokyo Stock Exchange'', in W.T. Ziemba, W. Bailey and Y. Hamao, eds, Japanese Financial Market Research, 1991, 91 - 119, Amsterdam: North Holland.
(27) ''Selecting an index for a stock index futures contract: An analysis of
the
(28) ''Tests for multiple outliers in an exponential sample'', (with U. Balasooriya), Sankhya B, 53, 1991, 56 - 63.
(29) ''Forecasting volatility in the
(30) ''MLE of some continuous time financial models: Some Monte Carlo results'', Mathematics and Computers in Simulation, 33, 1992, 575 - 580.
(31) ''On the robustness of tests of outliers and functional form'', (with M. McAleer), Journal of Applied Statistics, 19, 1992, 427 - 436.
(32) ''Price-volume relation in stocks: A multiple time series analysis on
the
(33) ''Cross return predictability in
(34) ''Stochastic behaviour of interest rates in
(35) ''Interest rate models and option pricing: A sensitivity analysis'', Mathematics and Computers in Simulation, 39, 1995, 431 - 436.
(36) ''Modelling reverse mortgages'', Asia Pacific Journal of Management, 12, 1995, 79 - 95.
(37) ''Some international evidence on the stochastic behaviour of interest rates'', Journal of International Money and Finance, 14, 1995, 721 - 738.
(38) ''Lead-lag relationship between spot and futures price of the Nikkei Stock Average'', Journal of Forecasting, 14, 1995, 553 - 563.
(39) ''Nonlinear dynamics of the Nikkei Stock Average futures'', Financial Engineering and the Japanese Markets, 2, 1995, 181 - 195.
(40) ''Interest parity and dynamic capital mobility: The experience of Singapore'', (with K.S. Tan), in Takatoshi Ito and Anne O. Krueger, eds, Financial Deregulation and Integration in East Asia, 1996, 335 - 354, Chicago University Press: Chicago, IL.
(41) ''Long memory volatility in stock returns: Evidence from four Asia-Pacific markets'', (with Albert K.C. Tsui), Research in Finance: Supplement 2, 1996, 33 - 54.
(42) ''Stock volatility and the impact of news: The case of four Asia-Pacific markets'', (with X.L. Zuo), Advances in International Banking and Finance, 2, 1996, 115 - 137.
(43) ''Testing for conditional heteroscedasticity: Some Monte Carlo results'', (with X.L. Zuo), Journal of Statistical Computation and Simulation, 58, 1997, 237 - 253.
(44) ''Conditional volatility in foreign exchange rates: Evidence from the
Malaysian ringgit and
(45) ''The cointegration of Asian currencies revisited'', (with L.K. Ng), Japan and the World Economy, 9, 1997, 109 - 114.
(46) ''Short-term interest rate models and the generation of interest rate scenarios'', Mathematics and Computers in Simulation, 43, 1997, 475 - 480.
(47) ''The conditional heteroscedasticity of the Yen-Dollar exchange rates'', Journal of Applied Econometrics, 13, 1998, 49 - 55.
(48) ''An empirical analysis of the stochastic behaviour
of short-term interest rates in
(49) ''Hedging time-varying downside risk'', (with Donald Lien), Journal of Futures Markets, 18, 1998, 705 - 722.
(50) ''Interest rate spreads and the prediction of real economic activity:
The case of
(51) ''Fractional cointegration and futures hedging'', (with Donald Lien), Journal of Futures Markets, 19, 1999, 457 - 474.
(52) ''No-cointegration test based on fractional differencing: Some Monte Carlo results'', (with V.V. Anh and Q. Tieng), Journal of Statistical Planning and Inference, 80, 1999, 257 - 267.
(53) ''Forecasting the Nikkei spot index with fractional cointegration'', (with Donald Lien), Journal of Forecasting, 18, 1999, 259 - 273.
(54) ''A note on diagnosing multivariate conditional heteroscedasticity models'', (with Albert K.C. Tsui), Journal of Time Series Analysis, 20, 1999, 679 - 691.
(55) ''Hedging downside risk with futures contracts'', (with Donald Lien), Applied Financial Economics, 10, 2000, 163 -170.
(56) ''Cointegration of stochastic multifractals with application to foreign exchange rates'', (with V.V. Anh and Q.M. Tieng), International Transactions in Operational Research, 7, 2000, 349 - 363.
(57) ''Detecting structural changes using genetic programming with an application to the Greater-China stock markets'', (with X.B. Zhang and W.S. Chan), in W.S. Chan, W.K. Li and H. Tong, eds., Statistics and Finance: An Interface, 2000, 370 - 384, Imperial College Press: London. About the book
(58) ''Stochastic modelling of multifractal exchange rates'', (with V.V. Anh and Q. Tieng), in Y. Suzuki, S.J. Ovaska, T. Furuhashi, R. Roy and Y. Dote, eds., Soft Computing in Industrial Applications, 2000, Springer: London, 355 - 369. About the book
(59) ''A note on the length effect of futures hedging'', (with Donald Lien), Advances in Investment Analysis and Portfolio Management, 7, 2000, 131 - 143.
(60) ''A test for constant correlations in a multivariate GARCH model'', Journal of Econometrics, 98, 2000, 107 - 127.
(61) ''Hedging downside risk: Futures versus options'', (with Donald Lien), International Review of Economics and Finance, 10, 2001, 159 - 169.
(62) ''Local influence on bandwidth estimation for kernel smoothing'', (with X.B. Zhang), Journal of Statistical Computation and Simulation, 70, 2001, 349 - 370.
(63) ''Maximum likelihood estimation of the fractional differencing parameter in an ARFIMA Model using wavelets'', (with V.V. Anh and Q. Tieng), Mathematics and Computers in Simulation, 59, 2002, 153 – 161.
(64) ''The variance ratio test with stable Paretian errors'', (with X.B. Zhang), Journal of Time Series Analysis, 23, 2002, 117 - 126.
(65) ''Evaluating the hedging performance of the constant-correlation GARCH model'', (with Donald Lien and Albert K.C. Tsui), Applied Financial Economics, 12, 2002, 791 - 798.
(66) ''Some recent developments in futures hedging'', (with Donald Lien), Journal of Economic Surveys, 16, 2002, 357 - 396.
(67) ''A multivariate GARCH model with time-varying correlations'', (with Albert K.C. Tsui), Journal of Business and Economic Statistics, 20, 2002, 351 - 362.
(68) ''Residual-based diagnostics for conditional heteroscedasticity models'', Econometrics Journal, 5, 2002, 358 - 373.
(69) ''Physical delivery versus cash settlement: An empirical study on the feeder cattle contract'', (with Donald Lien), Journal of Empirical Finance, 9, 2002, 261 - 371.
(70) "Structural change and lead-lag relationship between the Nikkei spot index and futures price: A genetic programming approach", (with Donald Lien and Xibin Zhang), Quantitative Finance, 3, 2003, 136 - 144.
(71) "The Impacts of
(72) "A small-sample overlapping variance-ratio test", (with K.W. Ng and X.B. Zhang), Journal
of Time Series Analysis, 25, 2004, 127 -
135.
(73)
"A
(74) "Market Segmentation and Information Values of Earnings Announcements:
Some Empirical Evidence from an Event Study on the Chinese Stock Market", (with
Y. Gao), International Review of Economics and Finance, 13/14, 2004, 455 - 474.
(75) "Estimation of Hyperbolic Diffusion using MCMC Method", (with X.B. Zhang and Jun Yu), Quantitative Finance, 4, 2004, 158 - 169.
(76) "Expectations Formation and Forecasting of Vehicle Demand: An
Empirical Study of the Vehicle Quota Auctions in
(77) "Effects of Electronic Trading on the Hang Seng Index Futures Market", (with Joseph Fung, Donald Lien and Yiuman Tse), International Review of Economics and Finance, forthcoming.
(78) "A Survey on Physical Delivery versus Cash Settlement in Futures
Contracts", (with Donald Lien), International
Review of Economics and Finance, forthcoming.
Refereed Conference Papers
(1) ''Causality between volume and return in the Singapore stock market'', (with E.C. Teo) in C.H. Wee and T.K. Hui, eds., Proceedings of the Academy of International Business Southeast Asia Conference, 1991, 178 - 182.
(2) ''Stochastic models of interest rates in economics, finance and actuarial science'', Keynote Address, MODSIM 95, in M. McAleer, P. Binning, H. Bridgman and B. Williams, eds., International Congress on Modelling and Simulation Proceedings, Vol 4, 1995, 13 - 34.
(3) ''Evaluating the hedging performance of GARCH strategies'', (with Donald Lien and Albert K.C. Tsui) in Proceedings of Tenth Annual Asia-Pacific Futures Research Symposium, Chicago, Illinois: Chicago Board of Trade, 1999, 59 - 87.
(4) ''Maximum likelihood estimation of the fractional differencing parameter in an ARFIMA Model using wavelets'', (with V.V. Anh and Q. Tieng) in L. Oxley, F. Scrimgeour and M. McAleer, eds., International Congress on Modelling and Simulation, Vol 2, 1999, 255 - 260.
Book
Know Your Interest: A Guide to Loans and Investment [Ridge Books] 1997 100pp. Pb 9971-69-206-6 S$16.00/US$12.00
This book discusses the
basic principles of interest rate measurements, with a view to helping readers
understand and acquire actual know-how in the calculations of returns on
investments and the effective rate of interest of various types of loans.
Written with the non-technical lay reader in mind, it nevertheless goes beyond
the descriptive and should cater to both professionals and students as well as
members of the general public wishing to do their own calculations for personal
investment and financial management.